Key Takeaways
- • Ellipsis Asset Management's Ellipsis Optimal Solutions – Alternative Hedging, launched in January 2025, won The Hedge Fund Journal's 2026 UCITS Hedge award for Best New Launch in the Long Volatility and Tail Risk strategy category.
- • The UCITS fund has grown to EUR 500 million as of September 2026, while customized equity risk mitigation mandates have quadrupled over the past year to EUR 6 billion in notional equity exposure hedged.
- • Smallest customized mandate is around EUR 350 million, with white-label options available for third-party asset owners and managers.
- • CEO and CIO Sebastien Caron argues bonds provide weak, delayed diversification against equity losses, and the firm relies on equity put options instead of negative correlation assumptions.
- • Ellipsis Global Credit Opportunities, co-managed by Cyril Batkin and Olivier Spoor, uses equity hedges and tail risk strategies, with a stated 5-6% maximum drawdown stress test at fund level.
Summary
Ellipsis Asset Management's Ellipsis Optimal Solutions – Alternative Hedging, launched in January 2025, received The Hedge Fund Journal's 2026 UCITS Hedge award for Best New Launch in the Long Volatility and Tail Risk category. According to the publication, the UCITS fund's assets reached EUR 500 million as of September 2026, while customized mandates, measured by the notional value of equity exposure hedged, quadrupled over the last year to EUR 6 billion. The firm's customized mandate business began in 2018, although the team has traded equity derivatives for decades. The smallest mandate is around EUR 350 million. Pension funds, insurers, private banks, wealth managers, corporates, family offices, funds of funds, endowments, foundations and sovereign wealth funds are existing or potential investors.
Caron contends that bond-equity correlation cannot be relied upon for protection. He cites weak and delayed bond rallies after the 2008-2009 GFC, when investors waited until September 2009, and single-digit Treasury gains in March 2020 against an equity decline of about 34%. In 2022 and 1994, bonds added to losses as rate rises drove selloffs. Ellipsis therefore states it does not rely on negative correlation assumptions, preferring equity put options. The article notes equity corrections of more than 10% have occurred roughly every other year on average, with an average peak-to-trough decline of 19%.
Ellipsis buys two main option structures: tail risk protection, which may cost 1-2% annually and pay 20% or more in Covid-magnitude selloffs, and long volatility structures, which may cost 2-2.5% annually and pay 7-8% more frequently in slower bear markets. Customized mandates typically blend the two in equal proportions, though the split can be adjusted. The default geographic allocation for UCITS and mandates approximates MSCI World weights of roughly 70% US, 20% Europe and 10% Asia, though one mandate uses 30% US, 20% Europe and 50% Switzerland. The UCITS targets a central 12-month maturity, extendable to 24 months, while customized mandates generally do not exceed that. The UCITS carries maximum leverage of 10x. Caron states Ellipsis does not trade OTC products, citing intraday liquidity requirements, and the firm has over 20 trading relationships for SMA implementation. Jérôme Gunther, with 26 years of experience and previously head of volatility strategies at Amundi, was recently appointed Head of Alternative & Risk Mitigation Strategies.
Ellipsis Global Credit Opportunities, managed by Cyril Batkin and Olivier Spoor, marked its first year. The fund uses Ellipsis equity protection strategies within its tail risk sleeve, alongside interest rate and credit derivatives, with a stated aim of positive returns in all correction scenarios over a 12-month window. In 2026 the managers took profits on AT1 and CoCo financials and redeployed capital into convertible arbitrage, citing tight spreads and attractive yields in Asian investment-grade convertibles.
Caron contends that bond-equity correlation cannot be relied upon for protection. He cites weak and delayed bond rallies after the 2008-2009 GFC, when investors waited until September 2009, and single-digit Treasury gains in March 2020 against an equity decline of about 34%. In 2022 and 1994, bonds added to losses as rate rises drove selloffs. Ellipsis therefore states it does not rely on negative correlation assumptions, preferring equity put options. The article notes equity corrections of more than 10% have occurred roughly every other year on average, with an average peak-to-trough decline of 19%.
Ellipsis buys two main option structures: tail risk protection, which may cost 1-2% annually and pay 20% or more in Covid-magnitude selloffs, and long volatility structures, which may cost 2-2.5% annually and pay 7-8% more frequently in slower bear markets. Customized mandates typically blend the two in equal proportions, though the split can be adjusted. The default geographic allocation for UCITS and mandates approximates MSCI World weights of roughly 70% US, 20% Europe and 10% Asia, though one mandate uses 30% US, 20% Europe and 50% Switzerland. The UCITS targets a central 12-month maturity, extendable to 24 months, while customized mandates generally do not exceed that. The UCITS carries maximum leverage of 10x. Caron states Ellipsis does not trade OTC products, citing intraday liquidity requirements, and the firm has over 20 trading relationships for SMA implementation. Jérôme Gunther, with 26 years of experience and previously head of volatility strategies at Amundi, was recently appointed Head of Alternative & Risk Mitigation Strategies.
Ellipsis Global Credit Opportunities, managed by Cyril Batkin and Olivier Spoor, marked its first year. The fund uses Ellipsis equity protection strategies within its tail risk sleeve, alongside interest rate and credit derivatives, with a stated aim of positive returns in all correction scenarios over a 12-month window. In 2026 the managers took profits on AT1 and CoCo financials and redeployed capital into convertible arbitrage, citing tight spreads and attractive yields in Asian investment-grade convertibles.
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